Question
An interest rate swap has three years of remaining life. Payments are exchanged annually. Interest at 3 percent is paid and 12-month LIBOR is received.
An interest rate swap has three years of remaining life. Payments are exchanged annually. Interest at 3 percent is paid and 12-month LIBOR is received. A exchange of payments has just taken place. The one-year, two-year and three-year LIBOR/swap zero rates are 2%, 3% and 4%. All rates are annually compounded. What is the value of the swap as a percentage of the principal?
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Analysis for Financial Management
Authors: Robert C. Higgins
12th edition
1259918963, 9781260140729 , 978-1259918964
